Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Cheng, Ke; Yang, Xiaoguang

doi:10.1186/s40854-017-0055-z

Financial Innovation

Table 5 Detailed results of formula 2

From: Interdependence between the stock market and the bond market in one country: evidence from the subprime crisis and the European debt crisis

Country	Adjusted R-Square	F Stat	DW Stat	VIF	Intercept	Lag of Stock	Short-term Bond	Long-Term Bond	Short-term Bond^a Crisis Dummy	Long-Term Bond^a Crisis Dummy
Argentina	0.10	9.16^b	1.92	9.73	0.00	0.13^a	−0.12^a	0.07	0.21^b	−0.34^b
Austria	0.05	6.37^b	2.00	6.34	0.00	0.16^b	0.41	−0.13	−1.72	−0.19
Australia	0.09	10.59^b	1.98	6.75	0.00^a	0.07	0.06	−0.11	−2.37^b	0.13
Belgium	0.04	5.61^b	2.00	7.60	0.00	0.19^b	−0.13	−0.21	−0.74	0.18
Brazil	0.05	4.56^b	1.97	6.18	0.00	0.09^a	3.01^b	0.04	−2.64^a	0.20
Canada	0.04	5.43^b	1.98	4.90	0.00^a	0.10^a	0.05	−0.02	−2.15^b	−0.04
Switzerland	0.01	1.74	1.98	4.85	0.00	0.02	−0.40	−0.10	−1.39	0.10
Chile	0.02	2.67^a	1.98	5.95	0.00^a	0.16^b	0.48	0.13	−0.48	−0.24
China	0.07	5.58^b	2.03	14.89	0.00	0.20^b	−6.89	−0.43	8.31	−0.82
Czech	0.07	8.79^b	2.04	5.87	0.00	0.26^b	0.54	−0.14	−3.84^b	0.26
Germany	0.07	8.77^b	2.05	5.59	0.00^b	0.03	0.05	−0.34^a	−3.74^b	0.26
Denmark	0.05	6.82^b	2.03	7.85	0.00^a	0.13^b	0.01	−0.18	−2.72^b	0.16
Spain	0.02	2.68^a	2.01	8.97	0.00	0.11^a	0.93	−0.20	−1.11	0.37
Finland	0.06	7.47^b	2.01	6.55	0.00	0.12^b	1.27^a	−1.04^b	−3.33^b	0.78^a
France	0.05	5.93^b	2.01	5.53	0.00	0.03	0.82	−0.26	−3.46^b	0.10
Greece	0.09	10.51^b	1.99	34.89	0.00	0.25^b	1.27	−0.33	−1.40	0.52^a
Hungary	0.08	9.77^b	1.96	10.13	0.00	0.17^b	0.56	0.01	1.09	−0.22
Indonesia	0.05	5.76^b	1.98	5.96	0.00^b	0.10^a	−0.02	0.04	0.03	−0.26^a
Ireland	0.03	4.32^b	1.97	17.95	0.00	0.18^b	−0.23	0.00	0.41	−0.25
Israel	0.02	2.98^a	1.99	3.13	0.00	0.15^b	−0.04	0.17	−0.03	−0.22
India	0.03	4.21^b	2.00	6.65	0.00^a	0.17^b	0.17	−0.22	−0.15	0.05
Italy	0.02	3.33^b	1.98	6.97	0.00	0.14^b	−0.64	0.03	−0.12	0.23
Japan	0.04	4.71^b	1.99	2.97	0.00	0.10^a	0.63	−0.49^a	−2.62	−0.08
Korea	0.03	4.04^b	1.99	11.42	0.00	0.18^b	−0.26	−0.28	−1.10	1.37
Mexico	0.02	2.16^a	1.99	368.46	0.00	0.09	0.23	0.30	−0.23	−0.17
Netherlands	0.08	10.35^b	2.04	5.96	0.00^a	0.07	−1.08	−0.23	−3.04^b	0.14
Norway	0.04	4.70^b	2.03	2.78	0.00^a	0.12^b	−0.18	0.06	−1.89^a	−0.33
New Zealand	0.08	9.22^b	1.98	10.65	0.00	0.28^b	0.41	0.04	−0.47	−0.03
Poland	0.03	3.93^b	1.99	4.66	0.00	0.13^b	0.35	0.22	−0.97	0.18
Portugal	0.03	3.66^b	1.99	16.87	0.00	0.17^b	0.87	−0.18	−0.85	0.13
Russia	0.06	32.80^b	2.23	900.75	0.00	−0.01	−0.01	0.09	0.11	−0.11
Sweden	0.04	4.95^b	2.02	6.68	0.00^a	0.04	0.28	−0.37	−3.01^a	0.26
Thailand	0.03	4.00^b	2.03	4.46	0.00^a	0.17^b	−0.07	0.02	0.07	−0.09
Turkey	0.01	4.24^b	1.95	832.23	0.00	0.12	0.98	0.00	−0.98	0.00
Taiwan	0.05	6.87^b	1.96	11.65	0.00	0.12^b	−0.07^a	0.02	0.06^a	0.21^b
UK	0.04	5.07^b	1.98	6.46	0.00	0.09^a	2.27^b	−0.43^a	−3.82^b	0.45^a
US	0.07	8.45^b	1.99	6.48	0.00^a	0.08^a	−0.67	−0.08	−2.40^a	0.00
Vietnam	0.12	9.29^b	1.94	31.78	0.00	0.34^b	−0.94	0.92	0.87	−1.00
South Africa	0.01	2.38^a	1.97	6.42	0.00	0.09^a	0.83	0.10	−0.35	−0.01

^ameans significance with 10% confidential interval. ^bmeans significance with 1% confidential interval

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